Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0030
Annualized Std Dev 0.1492
Annualized Sharpe (Rf=0%) -0.0199

Row

Daily Return Statistics

Close
Observations 5587.0000
NAs 1.0000
Minimum -0.1207
Quartile 1 -0.0035
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0038
Maximum 0.2096
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0094
Skewness 0.9855
Kurtosis 66.5844

Downside Risk

Close
Semi Deviation 0.0067
Gain Deviation 0.0076
Loss Deviation 0.0079
Downside Deviation (MAR=210%) 0.0117
Downside Deviation (Rf=0%) 0.0067
Downside Deviation (0%) 0.0067
Maximum Drawdown 0.5264
Historical VaR (95%) -0.0121
Historical ES (95%) -0.0217
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2005-09-12 2008-12-16 2012-01-23 -0.5264 1603 823 780
2012-11-30 2020-03-23 NA -0.3946 2090 1839 NA
1999-01-14 2000-11-08 2005-07-08 -0.3456 1629 461 1168
2012-03-13 2012-03-16 2012-05-01 -0.0853 35 4 31
2012-02-01 2012-02-16 2012-03-08 -0.0546 26 12 14

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.7 0.4 1.6 0 0 0.4 1.8 0.5 -0.5 1.5 2.1 2 9.3
2000 1 0.5 1.5 -0.5 0.5 0.9 -0.9 -0.5 0 0 0 0.5 3.1
2001 -0.3 1 0.2 -0.3 0.2 0.2 0.9 0.3 0.1 0.6 0.2 3 6.2
2002 0.2 -1 0.1 0.4 0.2 0.1 -0.1 0.4 -0.5 0.4 0.7 0.8 1.8
2003 -0.1 0.4 -0.1 -0.4 -0.2 0.6 0.4 0.7 0.6 0.3 -0.5 0.3 1.9
2004 -0.1 0 0.4 0.5 -0.1 1.7 0.4 1 0.3 -0.2 -0.9 -0.1 2.8
2005 0.1 0.2 0.9 0.2 0.3 0.2 0.1 -0.1 0.5 0.2 -0.1 -0.3 2.3
2006 -0.7 0.2 -0.4 -0.1 0.1 1.1 0.2 0.3 -0.1 0.5 0.6 0.3 2.1
2007 0.1 0.2 -0.1 0.1 -0.1 0.2 0.1 0 -0.1 -1.4 0.8 0.1 -0.1
2008 0.2 -2 0.6 0.1 0.6 0.8 -0.3 0.2 1.5 -2.1 -1.3 1.1 -0.6
2009 -0.8 0.3 0.5 0.8 -0.1 0.2 0.1 0.6 -0.3 -0.1 0.3 0.4 1.9
2010 0 0 0.5 -0.2 -0.1 0.4 0.2 0.4 0.4 -0.1 -2.4 1.2 0.2
2011 0.7 -0.3 0.3 -0.1 -0.1 0.8 2 0.8 0.6 0.2 -0.1 0 5.1
2012 -1.7 0.4 0.4 1.7 -0.6 -0.1 1 -0.2 1 0.3 -0.4 0.7 2.4
2013 -0.5 0.5 -0.3 -0.2 -2.4 1.2 -1.3 -0.7 0.1 -1.4 0.1 -0.1 -5
2014 0.1 0.3 -0.1 0.9 -0.3 -0.4 0.4 0.2 0.6 -0.6 0.3 0.5 1.9
2015 0.1 0.2 0.3 -0.5 -0.2 0.4 0.4 0.6 0.2 -0.4 0.4 0.6 2.3
2016 0.6 0.6 0.1 0.5 1.3 1.1 -0.5 -0.4 0.3 1 -0.6 -0.1 4.1
2017 0 -0.2 0.4 0.3 1 1.8 0 0 -0.3 0.2 0.4 0.4 4.1
2018 0 -0.2 0.5 0 -0.3 0.5 0 0.3 -0.1 -0.6 1.9 0.5 2.4
2019 0.4 0 0.6 0.3 1.3 3.4 -0.1 -0.1 0.5 0.2 2.6 0.4 9.9
2020 0.1 -3 -3.7 0.1 0.5 0 0.2 0.2 0.7 0.1 -0.3 0.7 -4.3
2021 0.2 -0.4 -0.4 NA NA NA NA NA NA NA NA NA -0.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  16.8 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  16.7 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  16.8 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  16.6 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  16.7 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  16.5 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart